ABSTRACT
I examine the effect of ex ante management forecast accuracy on the post-earnings-announcement drift when management forecasts about next quarter's earnings are bundled with current quarter's earnings announcements. I build a composite measure of ex ante management forecast accuracy that takes into account forecast ability, forecast difficulty, and forecast environment. The results show that the bundled forecasts with higher ex ante accuracy mitigate investors' under-reaction to current earnings and reduce the magnitude of the post-earnings-announcement drift.
Data Availability: The data used in this paper are available from the sources listed in the text.
The Effect of Ex-Ante Management Forecast Accuracy on Post-Earnings Announcement Drift*
